Polish stock market and some foreign markets - dependence analysis by regime-switching copulas

• Autorzy: Gurgul H. , Syrek R.

Warianty tytułu

PL

Polski rynek kapitałowy i kilka wybranych rynków - analiza zależności za pomocą kopuł przełącznikowych

• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is investigation of DJIA, DAX, ATX and WIG20 interdependence based on weekly returns. In order to capture asymmetry of dependence structure Archimedean copulas were applied and symmetric structures are modelled with elliptical copulas. The strength of dependence between extreme events is examined by tail dependence coefficients. Changes in dependence patterns and parameter values are obtained by the application of the regime-switching model based on the first order Markov chain. We are using a two-step maximum likelihood estimation method which separates marginal distributions from the dependence structure. Parameters of copulas are estimated using Hamilton filter adopted to copulas. The copula based on regime-switching model allows us to model time varying dependence structure in a very flexible way. Empirical results confirm dynamic and asymmetric structure of dependence represented by stock markets under study, especially they verify strong and dynamic lower tail dependence.

PL

Celem artykułu jest analiza struktury zależności giełdowych indeksów DJIA, DAX, ATX oraz WIG20 na podstawie tygodniowych stóp zwrotu. Aby uchwycić asymetrię w strukturze zależności, wykorzystano kopule Archimedesowe, natomiast struktury symetryczne są modelowane z wykorzystaniem kopuł eliptycznych. Siła zależności pomiędzy wartościami ekstremalnymi jest badana na podstawie współczynników zależności w ogonach. Do modelowania zmian w strukturze zależności wykorzystano model przełącznikowy oparty na łańcuchu Markowa pierwszego rzędu. Proces estymacji oparty jest na metodzie dwustopniowej, która pozwala modelować rozkłady brzegowe i strukturę zależności. Estymacja parametrów kopuł przebiega z wykorzystaniem filtru Hamiltona zaadaptowanego do kopuł. Model przełącznikowy oparty na kopułach pozwala w bardzo elastyczny sposób modelować zmieniającą się w czasie strukturę zależności. Wyniki empiryczne potwierdzają występowanie dynamiki asymetrycznej struktury zależności badanych rynków akcji, w szczególności silnej zależności w dolnych ogonach rozkładów.

Słowa kluczowe

EN

copula; switching model; tail dependence coefficients

PL

kopuła; model przełącznikowy; współczynniki zależności w ogonach

• Wydawca: Wydawnictwa AGH
• Czasopismo: Ekonomia Menedżerska
• Rocznik: 2010
• Tom: nr 8
• Strony: 21--39
• Opis fizyczny: Bibliogr. 49 poz., tab., wykr.

Twórcy

autor

Gurgul H.

• Samodzielna Pracownia Zastosowań Matematyki w Ekonomii, Wydział Zarządzania, Akademia Górniczo-Hutnicza w Krakowie, Al. Mickiewicza 30, 30-059 Kraków

autor

Syrek R.

• Zakład Metod Ilośiowych w Ekonomii, Wyższa Szkoła Ekonomii i Informatyki w Krakowie, ul. Św. Filipa 17, 31-150 Kraków

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